StockFetcher Forums · View by Author: Kevin_in_GA (3,414 messages) ·  [ Display By: Date / Subject ]<< 1 2 3 4 5 ... 342 >> 
Filter Exchange · Kaufman's efficiency ratio
Kevin_in_GA
msg #122630
1/27/2015 1:38:44 PM

@four: Interesting read, but it seems that the author is advocating using the efficiency ratio for exits rather than entries. This basic idea is also part of most of Larry Connors filters using a different metric (number of consecutive down days). I played with this a while back looking on Stratasearch and you can make a reasonably decent system with it. Not crushing the market, but OK.

General Discussion · Using variable in exit setup
Kevin_in_GA
msg #122618
1/26/2015 12:43:47 PM

I'm copying a post I just made on this topic:

This cannot currently be done. It has been requested numerous times but SF has no plans to implement anything like this (any variable that stores the value of another variable for a specific date).

StrataSearch has a function that does this - ValueWhen(). It will calculate the specific value you want for a given date, usually the date of signal generation, but it can look back beyond that as well.

General Discussion · Constant variable?
Kevin_in_GA
msg #122617
1/26/2015 12:42:35 PM

This cannot currently be done. It has been requested numerous times but SF has no plans to implement anything like this (any variable that stores the value of another variable for a specific date).

StrataSearch has a function that does this - ValueWhen(). It will calculate the specific value you want for a given date, usually the date of signal generation, but it can look back beyond that as well.

Filter Exchange · Kaufman's efficiency ratio
Kevin_in_GA
msg #122549
modified
1/18/2015 12:39:49 PM

I would not use the absolute value here - you want to know which are highly negative (go long) versus those that are highly positive (go short).

Fetcher[
market is S&P 500
set{KEF, cmo(20)/100}
add column kef
sort on column 5 ascending
]



Filter Exchange · PANGOLIN Z AND PANGOLIN W - FULL SYSTEM CODE
Kevin_in_GA
msg #122543
1/17/2015 3:55:41 PM

@graftonian:Paper trade - absolutely. Take a leap of faith - ummm ... start with a small amount of your trading capital, and only after you have paper traded it for a few months (not weeks).

Question - Grafton, MA? If so we lived there for almost seven years.

Filter Exchange · 10 day low
Kevin_in_GA
msg #122531
1/15/2015 1:47:28 PM

A lot of it depends on what type of filter you are using, and the market to which it is applied. For example, if one looks at a 10 day low in the SPY I would probably use only the S&P 500 stocks, or perhaps extend it to the Russell 2000, and not look at penny stocks.

Stratasearch has a function that could work here - numtotal(). It counts the number of stocks within a defined set like the S&P500 that have met a specific criterion, and can be used in filters. Example - you might want the percentage of S&P500 stocks that closed below their lower Bollinger band(20,2) to be part of a filter's entry criteria, so it would look like

numtotal("S&P-500", close < lbb(close,20,2))/numtotal("S&P-500", close > 0.01)

Filter Exchange · PANGOLIN Z AND PANGOLIN W - FULL SYSTEM CODE
Kevin_in_GA
msg #122518
1/14/2015 11:00:17 AM

Sorry - as I have said many times before, I do not use SF's back-testing capability. This is best addressed to the SF support team.

Filter Exchange · PANGOLIN Z AND PANGOLIN W - FULL SYSTEM CODE
Kevin_in_GA
msg #122516
1/13/2015 1:01:12 PM

Yes - you could simplify the trade and just use a limit order at the value where the RSI(2) is 5 and it would fill if the stock were below it at the next day open, but for me I wanted to make sure that the stop loss (which is calculated from the close on the day of the trigger) is calculated correctly. If you were to use the reversersi(2,5) value your stop loss would be a little closer than it was designed to be.

Filter Exchange · Taking an average of two indicators, is it possible?
Kevin_in_GA
msg #122510
1/11/2015 8:23:21 PM

I think you can do this fairly easily. Here is a generic example

set{2indicators, RSI(2) + Williams %R(2)}
set{sumof2indicators, sum(2indicators,20)}
set{averageof2indicators, sumof2indicators / 20}

Now if you want to determine the Z-score of this 2 indicator sum you would just do the following:

Fetcher[

set{2indicators, RSI(2) + Williams %R(2)}
set{sumof2indicators, sum(2indicators,20)}
set{averageof2indicators, sumof2indicators / 20}
set{SDof2indicators, cstddev(2indicators,20)}
set{difference, 2indicators - averageof2indicators}
set{zscoreof2indicators, difference / sdof2indicators}

market is S&P 500
add column 2indicators
add column zscoreof2indicators
sort on column 5 ascending
]



Not all that great a combo for picking bottoms, but that was not the purpose here - hopefully this shows you how to accomplish what you were asking (plus a little bit more that might be irrelevant).





Filter Exchange · PANGOLIN Z AND PANGOLIN W - FULL SYSTEM CODE
Kevin_in_GA
msg #122508
1/11/2015 4:48:26 PM

Simply discretionary - truth is either selection results in about the same overall performance.

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